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Fred. I would think you could optimize a discretionary system the same way
you'd optimize any other system. Determine the parameters that you are
using to enter and exit, and then try modifying them and see what happens.
----- Original Message -----
From: "Fred" <ftonetti@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, March 09, 2006 2:52 PM
Subject: [amibroker] Re: Short system advice?
> Given that over a long period of time that markets are up about
> twice as frequently as they are down, I don't find this to be real
> surprising.
>
> Keep in mind when writing systems that:
>
> 1. Short's don't have to be symetrical with buys ...
> 2. It's not a horrible idea to have periods when one is flat as
> well as long and short i.e. a reason to exit a long position is not
> necessarily a reason to enter a short position.
>
> Question: How does one objectively backtest/optimize a discretionary
> system ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Brian" <brianrichard99@xxx> wrote:
>>
>> I have some nice, well-tested long systems in place. I was
> surprised
>> when testing my discretionary systems, to find that none of my
> short
>> signals performed nearly as well as the long signals, in the
>> optimization/backtest/monte carlo simulations.
>>
>> Is this common?
>>
>> In addition, I am looking for some ideas around what indicators to
> use
>> as the foundation for building an adequate short system. Any
> ideas? I
>> did some searches on previous messages here, and did not find
> anything
>> of value. General rules of thumb, and bits of experiential wisdom,
> are
>> also welcome -- as they apply to short systems.
>>
>> Thanks in advance,
>>
>> Brian
>>
>
>
>
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>
>
>
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